How to install IceColdSandwich - 8.8 - AOKP rom on htc desire hd with ClockworkMod?

Yes, you need to be rooted and have a custom recovery in order to flash a ROM.
 
After root i just copy that rom file on sdcard and chose from recovery mod? or with this clockworkmod app?
 
After you root your phone:

1. Boot into recovery
2. MAKE BACKUP
3. Wipe data, cache, and dalvik
4. Flash ROM
5. Flash gapps (if applicable)
6. Reboot and enjoy your new ROM